Threshold cointegration and purchasing power parity in the pacific nations

被引：64

作者：

Enders, W ^{[1
]}

Chumrusphonlert, K ^{[1
]}

机构：

[1] Univ Alabama, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA

来源：

APPLIED ECONOMICS | 2004年 / 36卷 / 09期

关键词：

D O I：

10.1080/0003684042000233104

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper uses a threshold cointegration methodology to explore the properties of long-run purchasing power parity (PPP) in the Pacific nations. Using Japan and the USA as base countries, it is shown that long-run PPP holds for most Asian countries but that the adjustment mechanism is asymmetric. In contrast to symmetric error-correction models, it is found that asymmetric adjustments of nominal exchange rates play an important role in eliminating deviations from long-run PPP.

引用

页码：889 / 896

页数：8

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